Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56738 
Autor:innen: 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2011-033
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration based on an iterative synchronization algorithm. We consider high-frequency asymptotics and prove a feasible stable central limit theorem. The characteristics of non-synchronous observation schemes affecting the asymptotic variance are captured by a notion of asymptotic covariations of times. These are precisely illuminated and explicitly deduced for the important case of independent time-homogeneous Poisson sampling.
Schlagwörter: 
non-synchronous observations
quadratic covariation
Hayashi-Yoshida estimator
stable limit theorem
asymptotic distribution
JEL: 
C14
C32
C58
G10
Dokumentart: 
Working Paper

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